Optimal stopping time problem for random walks with polynomial reward functions
Анотація
The optimal stopping time problem for random walks with a drift to the left and with a polynomial reward function is studied by using the Appel polynomials. An explicit form of optimal stopping times is obtained.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
On the distribution of integral functionals of a homogeneous diffusion process
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Probability and Risk Models
Asymptotic properties of absolutely continuous functions and strong laws of large numbers for renewal processes
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Probability and Risk Models
On the small-time behaviour of Lévy-type processes
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Probability and Risk Models
Lower bounds of the Hausdorff dimension for the images of Feller processes
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Probability and Risk Models
Intrinsic small time estimates for distribution densities of Lévy processes
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Probability and Risk Models
Law of the iterated logarithm for solutions of stochastic equations
Схоже за: Stochastic processes and financial applications · Stochastic processes and statistical mechanics · Probability and Risk Models